Every release, and what it did to your receipts

SIMM 4.4

The delta margin of a risk data file, with the part that each factor and trade carries and a reconciliation against a counterparty file.

• Added A risk data file of up to 400 lines is read, with a header row and a tab, a semicolon or a comma between the fields. The delta margin is worked for the six risk classes and the four product classes.
• Added Each risk factor and each trade shows the part of the margin that rests on it, and each trade shows what the margin falls by without it. The parts add up to the margin, and a hedge has a part below zero.
• Added Two files are set against each other. A line that differs is named as only ours, only theirs, a bucket, a sign, a scale or an amount, and is valued at what it would take off our margin, so the line that matters most comes first.
• Added Six statements about the aggregation are proved, one is certified by an exact factorisation, and a second program that shares no code with the engine agrees with it to 3e-14 on 92 portfolios.
• Added simm/margin and simm/reconcile are a thirteenth and a fourteenth kind that the receipt check takes.

ICS 2.0

The capital requirement of a group, worked from its charges as the texts of December 2024 prescribe and set beside a second program.

• Added The requirement is worked from 18 charges through the correlation tables of life, catastrophe and market risk and the table across the five categories. Operational risk is added after them, and the tax effect is taken off.
• Added The tax effect follows the default rule of 80% and the limited rule with its four components. The group effective tax rate is worked from the earnings of the entities, which gives the 23.03% and the 2,005 that the IAIS technical note prints.
• Added The limits on Tier 1 Limited, the Tier 2 basket and Tier 2 decide how much of the capital resources count, for a group and for a mutual, and the part that does not count is shown.
• Added Each charge shows the part of the requirement that rests on it. The text has no rule for this, so the page says that the allocation is ours.
• Added Six statements about the aggregation, the tax effect and the limits are proved, one is certified by an exact factorisation, and a second program that shares no code with the engine agrees with it to 3e-15 on 50 groups.
• Added ics/capital is a twelfth kind that the receipt check takes.

SA-CVA 2.7

The capital of a book of CVA and hedge sensitivities, worked as the July 2020 text prescribes and set beside a second program.

• Added A book of up to 200 positions is worked for interest rate and FX delta and vega and for counterparty credit spread delta, with the hedging disallowance of 0.01 and the sum of each bucket held between minus and plus its capital.
• Added Each risk factor shows the part of the capital that rests on its CVA and on its hedge. The capital is also shown at other sizes of the hedges, so that the size at which more hedging stops helping can be read.
• Added A second program that shares no code with the engine works the capital in exact fractions, and agrees with it to 3e-15 on 26 books.
• Added sa-cva/capital is an eleventh kind that the receipt check takes.

Reserving 3.9

The chain ladder with the standard error of Mack, and the risk-free curve under both extrapolation rules, set beside published figures.

• Added The chain ladder and the standard error of Mack run on any triangle of two to forty origin years, as running totals or as the amounts of each year. The RAA triangle gives the reserve and the standard error that the ChainLadder package prints.
• Added The risk-free curve is built under the Smith-Wilson fit and under the closed form from the first smoothing point, and the valuation day picks the rule. The fit agrees with the numerical illustration of EIOPA to within six millionths of a percentage point.
• Added reserving/chain-ladder and reserving/curve are a ninth and a tenth kind that the receipt check takes.

AERMOD 2.5

The design values of four air quality standards, worked out as a monitor keeps them and as a model is compared.

• Added The design value of each of the four standards is worked out twice from the same hours, once as a monitor keeps it and once as a model is compared. A run lists the windows in which the two verdicts differ.
• Added The plume of one stack is worked out in each of the six classes of the air, with the height at which the rise stops and the distance at which the highest value falls.
• Added aermod/plume and aermod/design-value are a seventh and an eighth kind that the receipt check takes. They run a textbook plume and five years of weather that a seed made, not the reference model.

PQC 1.4

The final transition dates from NIST, and a plan that orders uses by when each must start.

• Rule The dates of NIST IR 8547 are loaded from the final text. Quantum-vulnerable public-key algorithms are deprecated after 2030 and disallowed after 2035, and the most sensitive federal systems have earlier dates.
• Added The dates of the EU roadmap and of the NCSC timeline can be chosen in place of the federal ones.
• Changed A plan orders uses by the latest year each can start, with key establishment before signatures and every use after the ones it waits for. It used to order them by the earliest date that applied to any key they hold.
• Added The size of every key, ciphertext and signature in FIPS 203, 204 and 205, and of the hybrid key shares in RFC 10024, is worked out from the formulas of the standard and set beside the table that the standard prints.
• Added pqc/migration-plan is a sixth kind that the receipt check takes, so a plan made here can be checked from a program.

Answers NIST Transition to post-quantum cryptography standards 3 days after publication

Platform 2.9

The receipt check, as an interface that a program can call.

• Added POST /api/verify takes the inputs of five kinds of calculation, returns the receipt, and says whether it matches one that you send.
• Added GET /api/parity.json returns the last parity run, with the fixtures, the engines and the receipt that each engine produced.
• Added Documentation for both, with every example run by a test.

SIMM 4.3

The annual recalibration from ISDA.

• Rule Risk weights and correlations are replaced for all six risk classes.
• Rule The lists of regular and low volatility currencies are updated.
• Added Versions 4.2 and 4.3 can both be selected. A margin call is computed under the version that applied on its date.

Answers ISDA Annual SIMM recalibration of risk weights and correlations 5 days after publication

Platform 2.8

The parity run covers five engines.

• Changed The parity run adds workerd, Chromium, Firefox and WebKit to Node. It compares the receipt of every fixture on every engine, and fails on a single differing bit.
• Added The run counts, for each engine, the points at which its own math functions, such as exp and sin, differ from Node. The kernel does not use them for that reason.

PRIIPs 3.2

The amended presentation of performance scenarios.

• Rule Performance scenarios are presented as the amended text requires, for key information documents issued from 1 January 2027.
• Added A document says which presentation it used, so one issued before the date can be told from one issued after.

Answers EU Amendments to the presentation of performance scenarios in the key information document 8 days after publication

ICS 1.9

The IAIS clarification on valuing insurance contract liabilities.

• Rule Insurance contract liabilities are valued as the clarification describes.
• Changed The reconciliation from market adjusted valuation to the group local regime shows the liabilities that the clarification concerns on a line of their own.

Answers IAIS Clarification on the valuation of insurance contract liabilities 11 days after publication

AERMOD 2.4

The new EPA release, with updated meteorological preprocessing.

• Rule The reference model that the engine wraps is the new EPA release, with its updated meteorological preprocessing.
• Changed A run reports each receptor whose concentration moved from the earlier release, with both values.
• Added The earlier release stays selectable, so a permit run can be repeated as it was filed.

Answers US EPA New AERMOD modelling system release with updated meteorological preprocessing 9 days after publication

WLTP 1.7

The amended interpolation method of UN GTR No. 15.

• Rule The interpolation method follows the amended text, for approvals made from 1 March 2027.
• Added Each approval records the text it was made under. One made earlier can stay on the earlier text.

Answers UNECE Amendment to UN GTR No. 15 on the interpolation method 8 days after publication

SA-CVA 2.6

The Basel Committee clarification on eligible hedges.

• Rule Hedge eligibility follows the clarification.
• Added A hedge that fails a check is listed with the check it failed. It still earns no benefit.

Answers BCBS Frequently asked questions on eligible hedges under the CVA framework 9 days after publication

Entropy 2.1

The health run reports everything it saw, not only the first alarm.

• Added The result carries the longest run of the repetition count test, and every window of the adaptive proportion test with the value it was built on.
• Changed The most common value estimate and its upper bound are part of the result and of the receipt.

FRTB-SA 5.1

The EU reporting standards for the standardised approach.

• Added Reporting templates in the layout of the EU implementing standard, next to the Basel summary.
• Added Each cell of a template links to the line of the derivation that fills it.

Answers EU Reporting standards for market risk under the standardised approach 9 days after publication

SA-CVA 2.5.1

A hedge on the boundary of the recognition test.

• Fixed A hedge that sat exactly on the tolerance of the recognition test was refused. The text accepts it, and so does the engine now.

Reserving 3.8

The updated methodology for the risk-free rate term structure.

• Rule From 30 January 2027 the extrapolation of the risk-free curve follows the updated methodology, a closed form from the first smoothing point with a convergence parameter that is fixed for each currency. Before that day the curve is the one it was.
• Added A curve is saved together with the inputs it was built from, so a reserve can be repeated against the curve of its date.

Answers EIOPA Updated methodology for the risk-free interest rate term structure 9 days after publication

FRTB-SA 5.0

The Basel Committee clarification on curvature risk for index options.

• Rule Curvature risk for index options follows the clarification.

Answers BCBS Clarification on curvature risk for index options 8 days after publication

Solvency II 6.0

The amended framework, which applies from 30 January 2027.

• Rule The standard formula follows the amended framework for positions dated from 30 January 2027.
• Added Positions dated earlier are computed as before, and a report says which text it used.

Answers EU Amended Solvency II framework applies from 30 January 2027 14 days after publication

Solvency II 5.2.1

The result says when the adjustment was limited.

• Fixed The adjustment for loss-absorbing capacity is limited to the sum of the basic capital and the operational charge, so the requirement cannot be negative. The figure was always limited, but the result did not say so. It does now.

Platform 2.4

A receipt holds the parameters of the rule that made it.

• Changed A receipt covers the parameters of the rule, such as risk weights and correlations, together with the inputs and the result. A change to a rule now changes the receipt.